Multivariate residual-based finite-sample tests for serial dependence and ARCH effects with applications to asset pricing models-Reference-Cited by-同舟云学术

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Multivariate residual-based finite-sample tests for serial dependence and ARCH effects with applications to asset pricing models

Published:2009-12-08 Issue:2 Volume:25 Page:263-285
ISSN:0883-7252
Container-title:Journal of Applied Econometrics
language:en
Short-container-title:J. Appl. Econ.

Author:

Dufour Jean-Marie,Khalaf Lynda,Beaulieu Marie-Claude

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/jae.1092/fullpdf

Reference50 articles.

1. Nonnormalities and tests of asset pricing theories;Affleck-Graves;Journal of Finance,1989

2. Comment on ‘The spectral analysis of point processes’ by M. S. Bartlett';Barnard;Journal of the Royal Statistical Society, Series B,1963

3. Multivariate GARCH models: a survey;Bauwens;Journal of Applied Econometrics,2006

4. Multivariate tests of mean-variance efficiency with possibly non-Gaussian errors: An exact simulation-based approach;Beaulieu;Journal of Business and Economic Statistics,2007

5. Measuring the effects of regulation with stock price data;Binder;Rand Journal of Economics,1985

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